One way is you can export as a SWF and import that object - it should maintain effects. You WILL need to rescale this SWF, though (just set the .width/.height properties when you include it in your code and you're away).

Other than that, we try to avoid using any fancy effects and, if they are needed, build them onto the asset when they are created.

One other big one that we noticed, is that PhotoShop's "Pass through" is not the same as using the alpha channel within Flash/AS3 - or at least, it doesn't give the same visible effect. (I know the OP was about Illustrator, but I would wager there are similar problems with effects from other applications).